22 December 2017
EM Currency Handbook 2018: Still Fuel in the Tank
Bid/ask spread: 30bps
Avg. daily vol: USD300mn
Ref. Source: LATAMNDF2=DBNY, Bloomberg: DBLMl<GO>
Fixing page: www.sbs.gob.pe
Cross r or rency sr.vap.
Regulatory: ISDA documentation. Standard does available at EMTA (www.emta.org)
Standard Contract: 6M Libor vs. PEN nominal fixed; net settled at maturity; with final exchange; settled offshore in
USD
Liquidity: Moderate
Avg. ticket size: USD10mn
Bid/ask spread: 10bp
Avg. daily vol: USD20mn
Non-Deliverable Option (NDO)
Liquidity: Very Poor
Avg. daily vol: < USDlOmn
Deutsche Bank Securities Inc. Page 109
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0076912
CONFIDENTIAL SDNY_GM_00223096
EFTA01379436